VEA Options History — May 2022

In May 2022, VEA traded between $42.27 and $45.71. ATM implied volatility averaged 23.2%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 0.6% (HV 20d: 23.8%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2022-05-23: Highest Volume — 945 contracts
  • 2022-05-05: Largest IV spike — 40.4% change
  • 2022-05-09: Highest IV Rank — 56.9%
  • 2022-05-12: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.14$42.27$45.71$44.59$45.59
Max Pain$45.19$45.00$47.00$47.00$45.00
ATM IV23.2%17.4%29.4%24.2%18.3%
Expected Move6.5%5.0%7.8%6.9%5.2%
HV 20d23.8%16.7%27.8%16.9%25.7%
HV 60d23.4%21.6%24.5%21.6%22.7%
IV Rank39.3%23.1%56.9%42.3%25.5%
IV Percentile86.6%64.3%97.2%94.4%66.7%
Term Structure-1.1%-2.6%1.5%-0.9%-0.5%
VWIV24.2%21.0%27.6%26.1%24.3%
Skew 25d8.3%5.2%10.7%9.0%5.6%
Skew 10d16.6%4.8%25.1%14.1%15.7%
Call IV 25d19.5%16.3%22.4%21.4%17.1%
Put IV 25d27.8%21.5%33.1%30.4%22.8%
Bid-Ask Spread %69.7532.7978.5659.3774.36
Gamma HHI0.250.110.620.280.17
Net GEX-80.3K-457.2K202.4K-183.0K202.4K
Net DEX2.8M-895.3K5.3M2.8M-791.5K
Net VEX-12.5K-16.4K-9.5K-15.7K-13.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.340.620.450.34
Total Volume764.762628945785687
Total OI4,451.4293,4914,8624,5224,137

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-05-02$44.59$47.0024.2%6.9%16.9%42.3%26.1%9.0%-0.9%-183.0K2.8M-15.7K0.4559.37N/AN/A5422432,5911,931
2022-05-03$44.90$46.0022.9%6.6%16.7%38.5%21.6%7.5%-0.2%-197.2K2.5M-15.4K0.4463.81N/AN/A5702492,5661,932
2022-05-04$45.71$46.0019.7%5.6%18.0%29.4%21.6%7.6%0.4%-166.8K1.5M-16.4K0.5173.82N/AN/A5122602,6101,955
2022-05-05$44.17$45.0027.6%7.2%21.1%51.8%27.6%10.7%-2.4%-191.4K3.3M-15.3K0.5866.97N/AN/A5293062,6191,960
2022-05-06$43.86$45.0023.9%6.6%21.0%41.5%24.5%9.1%1.5%-205.8K3.7M-14.4K0.5576.99N/AN/A5523032,6202,004
2022-05-09$42.55$45.0029.4%7.3%22.9%56.9%26.1%10.5%-2.6%-139.9K4.9M-11.4K0.5269.80N/AN/A4862532,6322,006
2022-05-10$42.64$45.0027.8%7.3%23.0%52.5%25.8%9.3%-1.8%-145.1K4.8M-11.0K0.5470.89N/AN/A4962682,6061,985
2022-05-11$42.56$45.0025.4%7.3%23.0%45.5%26.5%10.3%-2.1%-136.9K4.9M-10.9K0.5174.35N/AN/A5122622,6282,002
2022-05-12$42.27$45.0027.4%7.8%22.1%51.1%26.5%10.7%-2.5%-83.9K5.3M-9.5K0.5269.65N/AN/A4902532,6531,992
2022-05-13$43.50$45.0024.5%7.0%25.2%43.0%24.1%8.7%-1.2%-197.3K4.3M-11.0K0.5274.82N/AN/A4892562,6742,004
2022-05-16$43.60$45.0022.0%6.3%25.3%36.1%24.2%7.6%-0.4%-172.5K4.3M-10.4K0.5867.06N/AN/A4582672,7321,989
2022-05-17$44.41$45.0022.1%6.3%26.4%36.2%22.4%8.0%-1.3%-457.2K3.2M-11.4K0.5068.85N/AN/A5252612,7602,002
2022-05-18$43.38$45.0025.0%7.2%26.9%44.5%24.7%8.4%-2.0%-71.5K4.5M-10.3K0.4976.64N/AN/A5192522,8102,005
2022-05-19$43.93$45.0022.9%6.6%27.3%38.7%24.5%8.0%-1.3%-147.6K4.0M-11.0K0.5571.84N/AN/A4802632,8002,022
2022-05-20$44.01$45.0021.8%6.3%27.0%35.5%23.4%7.6%-0.6%11.2K4.1M-10.2K0.5978.56N/AN/A4892892,8202,042
2022-05-23$44.78$45.0020.7%5.9%27.8%32.4%21.0%7.6%-0.0%44.9K601.4K-11.9K0.3973.25N/AN/A6792662,1721,319
2022-05-24$44.78$45.0021.6%6.2%26.0%35.0%25.8%8.3%-1.9%113.8K495.7K-13.0K0.6232.79N/AN/A3882402,5171,398
2022-05-25$44.72$45.0021.3%6.1%26.0%34.0%23.3%7.1%-1.3%119.4K457.7K-13.0K0.3873.68N/AN/A5512122,5331,418
2022-05-26$45.20$45.0020.8%6.0%25.7%32.7%22.6%6.8%-1.1%125.0K-41.0K-13.4K0.3975.77N/AN/A5412102,5341,423
2022-05-27$45.70$45.0017.4%5.0%25.8%23.1%21.8%5.2%-0.0%192.5K-895.3K-14.1K0.3771.47N/AN/A4771752,6811,396
2022-05-31$45.59$45.0018.3%5.2%25.7%25.5%24.3%5.6%-0.5%202.4K-791.5K-13.7K0.3474.36N/AN/A5121752,7511,386